This paper investigates the predictive power of stock market returns in January for the subsequent eleven months' returns across 19 countries, thereby contributing to the literature on stock market seasonalities. Only two out of 19 countries' stock markets exhibit a robust Other January Eect. In...

This paper investigates the impact of introducing index futures trading on the volatility of the underlying stock market. We exploit a unique institutional setting in which presumably uninformed individuals are the dominant trader type in the futures markets. This enables us to investigate the...

This paper investigates whether seasonalities in daily stock returns are related to the trading behavior of individual and institutional investors. The change in the investor structure of B-share markets in Shanghai and Shenzhen after the abolition of ownership restrictions in 2001 provides a...